Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 4 | 3 |
| Score | -0.42 | 1.83 | 0.38 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.2 | 0.2 | 0.2 |
| Idiosyncratic Volatility | 0.4 | 0.55 | 0.59 |
Annualized return and volatility
| JVMSX | |
|---|---|
| Annualized Return | 0.1200 |
| Annualized Std Dev | 0.1538 |
| Annualized Sharpe (Rf=0%) | 0.7802 |
Row
Daily Return Statistics
| JVMSX | |
|---|---|
| Observations | 2002.0000 |
| NAs | 3112.0000 |
| Minimum | -0.1404 |
| Quartile 1 | -0.0036 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0053 |
| Maximum | 0.1596 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0001 |
| Stdev | 0.0097 |
| Skewness | 0.3516 |
| Kurtosis | 58.7702 |
Downside Risk
| JVMSX | |
|---|---|
| Semi Deviation | 0.0070 |
| Gain Deviation | 0.0070 |
| Loss Deviation | 0.0079 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0068 |
| Downside Deviation (0%) | 0.0068 |
| Maximum Drawdown | 0.2397 |
| Historical VaR (95%) | -0.0140 |
| Historical ES (95%) | -0.0219 |
| Modified VaR (95%) | -0.0030 |
| Modified ES (95%) | -0.0030 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2018-01-29 | 2018-12-24 | 2019-11-04 | -0.2397 | 453 | 233 | 220 |
| 2015-05-19 | 2016-02-11 | 2016-06-02 | -0.1842 | 267 | 189 | 78 |
| 2013-05-22 | 2013-07-02 | 2013-07-08 | -0.1518 | 33 | 30 | 3 |
| 2012-03-27 | 2012-06-04 | 2012-09-07 | -0.1133 | 118 | 49 | 69 |
| 2014-09-08 | 2014-10-15 | 2014-11-05 | -0.0974 | 44 | 28 | 16 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | JVMSX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2010 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2011 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2012 | NA | NA | 0.0 | 0.4 | -3.0 | 0.0 | -0.6 | 0.0 | -0.1 | 2.0 | 0.0 | 0 | -1.3 |
| 2013 | 1.1 | -0.1 | -0.8 | -1.4 | 0.0 | 0.8 | 1.8 | 0.0 | 1.0 | 0.3 | 0.0 | 0 | 2.6 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.1 | 0.0 | 0.8 | -0.2 | 0.0 | -1.2 | 0.0 | -0.8 | 0 | -0.4 |
| 2015 | 0.0 | 0.0 | -0.4 | 1.2 | 0.1 | 0.8 | 0.0 | -2.9 | 0.2 | 0.0 | 1.0 | 0 | 0.0 |
| 2016 | -0.1 | 2.5 | 0.6 | 0.0 | 0.2 | 0.1 | -0.5 | 0.0 | 0.0 | -0.6 | -0.2 | 0 | 2.0 |
| 2017 | -0.1 | 1.6 | 0.0 | 0.2 | 1.2 | 0.0 | 0.2 | 0.4 | 0.0 | 0.0 | 0.0 | 0 | 3.6 |
| 2018 | 0.2 | -0.9 | 0.0 | 0.0 | 0.7 | 0.0 | -0.5 | 0.0 | -0.2 | 1.6 | 0.0 | 0 | 1.0 |
| 2019 | 0.6 | 0.5 | 1.5 | -0.8 | 0.0 | 0.6 | -1.4 | 0.0 | -2.1 | 1.4 | 0.0 | 0 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
